The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a stronger impact on future volatility than bad...

This paper proposes the use of the conditional quantile regression approach for the interpretation of the nonlinear relationships between daily maximum 1-h ozone concentrations and both meteorological and persistence information. When applied to eight years (1992-1999) of data from four...